不確定環境におけるファジィVaR基準に基づく収益・リスク評価モデルの構築
| Project/Area Number |
12J01522
|
|---|
| Research Category |
Grant-in-Aid for JSPS Fellows
|
| Allocation Type | Single-year Grants |
|---|
| Section | 国内 |
|---|
| Research Field |
Sensitivity informatics/Soft computing
|
|---|
| Research Institution | Waseda University |
|---|
Principal Investigator |
王 博 早稲田大学, 情報生産システム研究科, 特別研究員PD
|
|---|
| Project Period (FY) |
2012 – 2013
|
| Project Status |
Completed (Fiscal Year 2013)
|
| Budget Amount *help |
¥1,600,000 (Direct Cost: ¥1,600,000)
Fiscal Year 2013: ¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 2012: ¥800,000 (Direct Cost: ¥800,000)
|
|---|
| Keywords | Uncertainty / Value-at-Risk / Risk/Return Analysis / Modeling / Unit Commitment / Portfolio Selection / Bilevel Programming / Multi-objective / Fuzzy set theory / Fuzzy Value-at-Risk / Maximal blackout time at successful operation / Two-stage multi-objective UCP model / Power load uncertainty / Solution algorithm |
|---|
| Research Abstract |
In the second year of JSPS program, we continue to work in the related fields according to the research plan made when apply the JSPS scholarship. During this period, we mainly focused on the developments of several risk measurements, the constructions of complicated mathematical models and the applications of our approaches in unit commitment and portfolio selection problems. The main objects of the research have been achieved, and we have published the research results in both SCI journals and international conferences.
Our results in the past year can be summarized as follows :
1. Research on unit commitment problem : First, we improve the single-node model proposed in our previous study to a multi-node system to ferret more realistic decisions. The mathematical model is improved to handle the transmission interconnection constraints which are necessary in a multi-node unit commitment, and we unify the multi-objective problem as one function to obtain a unique solution of the problem.
… More
Moreover, the solution algorithm is modified accordingly to solve the complicated optimization problem. Second, recently we just finished a new study which constructs a unit commitment-based bilevel electricity trading model. This model handles the optimizations of both the generation company and the market operator simultaneously. We have submitted this result to IEEE Trans. On Power Systems.
2. Research on portfolio selection problem : Collaborate with other PhD. students in our lab, we also have some interesting results in this filed. We build two novel portfolio selection models in fuzzy environment : the first study uses technical analysis-based fuzzy birandom variables to help the managers in both security future returns forecasting and decision-making, while the second one addresses the investors' exit strategy in portfolio selection problem. Both of the studies are novel to portfolio selection problem and show effectiveness when comparing with existing literatures.
Our research on multi-node unit commitment problem also won the "Excellence paper award" in the Tenth International Symposium on Management Engineering. Less
|
| Current Status of Research Progress |
Current Status of Research Progress
1: Research has progressed more than it was originally planned.
Reason
25 fiscal year isn't complete for the final year this research issue.
In the past two research years, we have been working on our topic step by step, according to the plan made when applying the JSPS scholarship. Right now, the main purpose and goal of the first year has been successfully achieved and we also extend our studies to some other fields, e.g. bilevel mathematical modeling and related solution methods.
|
| Strategy for Future Research Activity |
With the support of JSPS program, we have obtained various research results in the past two years. Our future work will be carried on based on the current results and we will further extend our research in modeling, solution and applications fields. We want to thank the support from JSPS and we also believe more interesting results will be obtained in our future studies.
|
Report
(2 results)
Research Products
(6 results)
